Have you ever thought about what would happen if you combined the power of machine learning and artificial intelligence with financial engineering? Today, you can stop imagining, and start doing. This course will teach you the core fundamentals of financial engineering, with a machine learning twist. We will cover must-know topics in financial engineering, such as: Exploratory data analysis, significance testing, correlations, alpha and beta Time series analysis, simple moving average, exponentially-weighted moving average Holt-Winters exponential smoothing model Efficient Market Hypothesis Random Walk Hypothesis Time series forecasting ("stock price prediction") Modern portfolio theory Efficient frontier / Markowitz bullet Mean-variance optimization Maximizing the Sharpe ratio Convex optimization with Linear Programming and Quadratic Programming Capital Asset Pricing Model (CAPM) Algorithmic trading (VIP only) Statistical Factor Models (VIP only) Regime Detection with Hidden Markov Models (VIP only) In addition, we will look at various non-traditional techniques which stem purely from the field of machine learning and artificial intelligence, such as: Classification models Unsupervised learning Reinforcement learning and Q-learning We will learn about the greatest flub made in the past decade by marketers posing as "machine learning experts" who promise to teach unsuspecting students how to "predict stock prices with LSTMs". You will learn exactly why their methodology is fundamentally flawed and why their results are complete nonsense.

Molecular discovery is a multi-objective optimization problem that requires identifying a molecule or set of molecules that balance multiple, often competing, properties. Multi-objective molecular design is commonly addressed by combining properties of interest into a single objective function using scalarization, which imposes assumptions about relative importance and uncovers little about the trade-offs between objectives. In contrast to scalarization, Pareto optimization does not require knowledge of relative importance and reveals the trade-offs between objectives. However, it introduces additional considerations in algorithm design. In this review, we describe pool-based and de novo generative approaches to multi-objective molecular discovery with a focus on Pareto optimization algorithms. We show how pool-based molecular discovery is a relatively direct extension of multi-objective Bayesian optimization and how the plethora of different generative models extend from single-objective to multi-objective optimization in similar ways using non-dominated sorting in the reward function (reinforcement learning) or to select molecules for retraining (distribution learning) or propagation (genetic algorithms). Finally, we discuss some remaining challenges and opportunities in the field, emphasizing the opportunity to adopt Bayesian optimization techniques into multi-objective de novo design.

Deep matrix factorizations (deep MFs) are recent unsupervised data mining techniques inspired by constrained low-rank approximations. They aim to extract complex hierarchies of features within high-dimensional datasets. Most of the loss functions proposed in the literature to evaluate the quality of deep MF models and the underlying optimization frameworks are not consistent because different losses are used at different layers. In this paper, we introduce two meaningful loss functions for deep MF and present a generic framework to solve the corresponding optimization problems. We illustrate the effectiveness of this approach through the integration of various constraints and regularizations, such as sparsity, nonnegativity and minimum-volume. The models are successfully applied on both synthetic and real data, namely for hyperspectral unmixing and extraction of facial features.

This paper presents a simplified model-based trajectory optimization (TO) formulation for motion planning on quadruped mobile manipulators that carry heavy payload of known mass. The proposed payload-aware formulation simultaneously plans locomotion, payload manipulation and considers both robot and payload model dynamics while remaining computationally efficient. At the presence of heavy payload, the approach exhibits reduced leg outstretching (thus increased manipulability) in kinematically demanding motions due to the contribution of payload manipulation in the optimization. The framework's computational efficiency and performance is validated through a number of simulation and experimental studies with the bi-manual quadruped CENTAURO robot carrying on its arms a payload that exceeds 15 % of its mass and traversing non-flat terrain.

If private vehicle trips can be replaced, ride-pooling services can decrease parking space needed by higher vehicle utilization and increase traffic efficiency by increasing vehicle occupancy. Nevertheless, substantial benefits can only be achieved if a certain market penetration is passed to find enough shareable rides for pooling to take place. Additionally, because of their highly dynamic and stochastic nature on-demand ride-pooling services cannot always guarantee that a request is served. Allowing customers to pre-book their trip in advance could provide benefits for both aspects. Additional knowledge helps an operator to better plan vehicle schedules to improve service efficiency while an accepted trip or a rejection can be communicated early on to the customer. This study presents a simulation framework where a ride-pooling provider offers a service in mixed operation: Customers can either use the service on-demand or pre-book trips. A graph-based batch optimization formulation is proposed to create offline schedules for pre-booking customers. Using two rolling horizons, this offline solution is forwarded to an online optimization for on-demand and pre-booking customers simultaneously. The framework is tested in a case study for Manhattan, NYC. That the graph-based batch optimization is superior to a basic insertion method in terms of solution quality and run-time. Due to additional knowledge, the ride-pooling operator can improve the solution quality significantly by serving more customers while pooling efficiency can be increased. Additionally, customers have shorter waiting and detour times the more customers book a trip in advance.

Solving inverse problems, such as parameter estimation and optimal control, is a vital part of science. Many experiments repeatedly collect data and rely on machine learning algorithms to quickly infer solutions to the associated inverse problems. We find that state-of-the-art training techniques are not well-suited to many problems that involve physical processes. The highly nonlinear behavior, common in physical processes, results in strongly varying gradients that lead first-order optimizers like SGD or Adam to compute suboptimal optimization directions. We propose a novel hybrid training approach that combines higher-order optimization methods with machine learning techniques. We take updates from a scale-invariant inverse problem solver and embed them into the gradient-descent-based learning pipeline, replacing the regular gradient of the physical process. We demonstrate the capabilities of our method on a variety of canonical physical systems, showing that it yields significant improvements on a wide range of optimization and learning problems.

Scaling up model sizes can lead to fundamentally new capabilities in many machine learning (ML) tasks. However, training big models requires strong distributed system expertise to carefully design model-parallel execution strategies that suit the model architectures and cluster setups. In this paper, we develop AMP, a framework that automatically derives such strategies. AMP identifies a valid space of model parallelism strategies and efficiently searches the space for high-performed strategies, by leveraging a cost model designed to capture the heterogeneity of the model and cluster specifications. Unlike existing methods, AMP is specifically tailored to support complex models composed of uneven layers and cluster setups with more heterogeneous accelerators and bandwidth. We evaluate AMP on popular models and cluster setups from public clouds and show that AMP returns parallel strategies that match the expert-tuned strategies on typical cluster setups. On heterogeneous clusters or models with heterogeneous architectures, AMP finds strategies with 1.54x and 1.77x higher throughput than state-of-the-art model-parallel systems, respectively.

Distributed data mining is an emerging research topic to effectively and efficiently address hard data mining tasks using big data, which are partitioned and computed on different worker nodes, instead of one centralized server. Nevertheless, distributed learning methods often suffer from the communication bottleneck when the network bandwidth is limited or the size of model is large. To solve this critical issue, many gradient compression methods have been proposed recently to reduce the communication cost for multiple optimization algorithms. However, the current applications of gradient compression to adaptive gradient method, which is widely adopted because of its excellent performance to train DNNs, do not achieve the same ideal compression rate or convergence rate as Sketched-SGD. To address this limitation, in this paper, we propose a class of novel distributed Adam-type algorithms (\emph{i.e.}, SketchedAMSGrad) utilizing sketching, which is a promising compression technique that reduces the communication cost from $O(d)$ to $O(\log(d))$ where $d$ is the parameter dimension. In our theoretical analysis, we prove that our new algorithm achieves a fast convergence rate of $O(\frac{1}{\sqrt{nT}} + \frac{1}{(k/d)^2 T})$ with the communication cost of $O(k \log(d))$ at each iteration. Compared with single-machine AMSGrad, our algorithm can achieve the linear speedup with respect to the number of workers $n$. The experimental results on training various DNNs in distributed paradigm validate the efficiency of our algorithms.

Stochastic Programming is a powerful modeling framework for decision-making under uncertainty. In this work, we tackle two-stage stochastic programs (2SPs), the most widely used class of stochastic programming models. Solving 2SPs exactly requires optimizing over an expected value function that is computationally intractable. Having a mixed-integer linear program (MIP) or a nonlinear program (NLP) in the second stage further aggravates the intractability, even when specialized algorithms that exploit problem structure are employed. Finding high-quality (first-stage) solutions -- without leveraging problem structure -- can be crucial in such settings. We develop Neur2SP, a new method that approximates the expected value function via a neural network to obtain a surrogate model that can be solved more efficiently than the traditional extensive formulation approach. Neur2SP makes no assumptions about the problem structure, in particular about the second-stage problem, and can be implemented using an off-the-shelf MIP solver. Our extensive computational experiments on four benchmark 2SP problem classes with different structures (containing MIP and NLP second-stage problems) demonstrate the efficiency (time) and efficacy (solution quality) of Neur2SP. In under 1.66 seconds, Neur2SP finds high-quality solutions across all problems even as the number of scenarios increases, an ideal property that is difficult to have for traditional 2SP solution techniques. Namely, the most generic baseline method typically requires minutes to hours to find solutions of comparable quality.

This allows one to capture potentially complex relationships between inputs and outputs. To learn the parameters of the energy function, the solution to that optimization problem is typically fed into a loss function. The key challenge for training energy networks lies in computing loss gradients, as this typically requires argmin/argmax differentiation. In this paper, building upon a generalized notion of conjugate function, which replaces the usual bilinear pairing with a general energy function, we propose generalized Fenchel-Young losses, a natural loss construction for learning energy networks. Our losses enjoy many desirable properties and their gradients can be computed efficiently without argmin/argmax differentiation. We also prove the calibration of their excess risk in the case of linear-concave energies. We demonstrate our losses on multilabel classification and imitation learning tasks.